When you say "in the wall", I guess you mean flush with the wall?
If a fireplace is flush in an outer wall it has to stick out on the outside. That is, the fireplace unit is deeper than the thickness of the wall. It has to go somewhere, so that means some serious work on the outside wall. Depending on what the wall is made of it might mean brick work, siding, or you name it. Then there's painting, insulation, rerunning electrical wires and/or plumbing that might be in that wall....
You get the idea. You're probably talking about a lot of cash. The other way is much cheaper.
[This message has been edited by rpxlpx (edited January 27, 2003).]